Correlation Between VIX and MOVE

Correlation Between VIX and MOVE The rolling one-year correlation between VIX and MOVE is at the highest level on record. Image: Arbor Research & Trading LLC

Correlation of VIX with U.S. 10-Year TIPS Yields

Correlation of VIX with U.S. 10-Year TIPS Yields The correlation of the VIX with U.S. 10-year TIPS yields has turned negative, as it was during the dot-com bubble burst, the Great Financial Crisis, the European debt crisis,… Image: Goldman Sachs Global Investment Research

Hedge Fund Correlation with a 60/40 Portfolio

Hedge Fund Correlation with a 60/40 Portfolio Correlations between hedge funds and 60/40 portfolios are sometimes high and at other times low. In general, hedge funds can play a role in risk reduction. Image: J.P. Morgan Asset Management

Correlation Between Value and Momentum

Correlation Between Value and Momentum The correlation between value and momentum is near record lows. Below this level, value outperformed momentum over the next 250 days (77% of the time) since 1986. Image: BofA Merrill Lynch US Equity & US Quant Strategy

U.S. Energy Balance Leads Oil-Dollar Correlation

U.S. Energy Balance Leads Oil-Dollar Correlation Interesting chart suggesting that the U.S. real energy balance leads the oil-dollar correlation by three years. Image: Oxford Economics, Macrobond

VIX and MOVE Rolling Correlation

VIX and MOVE Rolling Correlation Periods of high correlation between safe and risk assets are generally not good for balanced portfolios, because diversification is hard to find. Image: Arbor Research & Trading LLC

U.S. Equity and Bond Correlation

U.S. Equity and Bond Correlation The potential risk for a 60/40 portfolio is that the negative correlation between U.S. equity and bond could flip. Image: BofA Merrill Lynch